Yeah you do get the oil smell, I have piped my catch tank breather hose to the bottom of the engine bay, this has helped since when stationary it does not really get all the way down there and then when moving the gasses should be drawn out by the pipe sticing down just lower than the splash guard. I have not bothered with a filter on it as I dont see the point.
The power is gained by cooler, cleaner air entering the engine, oil vapur reduces octane which even if the engine is not mapped aggesivly for will reduce the burn in the cylinder and make it burn out quicker.